cotila1 - 12-11-2018 at 06:34 AM
I've got some interesting day trading systems on HO built with GSB.
I tried few setting prior to get a reasonable degradation of about -7% with this settings: built on 29,30,31 HO min bars. Secondary datastream: CL,
NG, RB. Nth=1
1° Verify on 20-40 min bars (excluding 29-31)
Deletion of Systems with VSS worse than -5% and NP/DD<15(when Nth=ALL).
Saved in favorities only systems with score 10/10 and 9/10. Those have been stressed with 2° Verify on multi-market (cl,rb).
Best from this 2 verify have been WF-ed on 29,30,31 min bars.
WF-ed systems with PAS>50 have been analyzed with and without WF paramaters and on un-seen period (>1/1/2017).
hereby one of the systems saved in tstation (included commissions and slippage(2 ticks)): unseen data on right side of red vertical line (>1/1/2017)
admin - 12-11-2018 at 02:02 PM
Nice equity curve. My comment on the poor 2017 is this is normal for CL as well. 2018 was much better. It shows the weakness of leaving a certain
period out of sample. (Which I still think is a good idea)